Offer a one week Summer School on FINANCIAL ENGINEERING AND ANALYTICS at IIT Madras Campus May 14 to 18, 2015 What is Financial Engineering? Financial Engineering is a multidisciplinary field involving financial theory, the methods of engineering, the tools of Mathematics and Statistics and the practice of computer programming. Financial Engineering started out with the bundling of primitive and derivative securities to create new financial securities with specified payoff patterns. It has evolved into a highly sophisticated field leading up to the securitization of many loan products that has allowed borrowers to enter the capital market directly. Objectives of the Summer School 1. 2. 3. To enhance awareness of and knowledge about FE & Analytics among UG and PG students who are pursuing studies in quant disciplines, such as in Engineering, Mathematics, Statistics, Physics and others. This interdisciplinary summer school is intended to foster interaction between finance, analytics and computation. There will be a wide range of topics discussed and the necessary mathematical background will be provided. The participants will work in interdisciplinary groups on projects throughout the program. Upon completion of the program students will learn the basic financial and computational techniques that are 4. 5. useful in formulating and solving real life problems in finance and analytics. With the availability of (Big) Data, this summer school will provide an opportunity for the participants to apply statistical techniques to analyze and gain insight from the data. This will be a good experience for jobs in industry and also academic research. Students can find opportunities through the summer school for working on various projects under the guidance of the faculty which will enhance the value of their resume and open up possibilities for paper publication which will help them in pursuing higher studies. FACULTY Faculty will be from IIT-M and IFMR specializing in financial engineering. VENUE DOMS, IIT Madras. FEES Rs.5,000/- (Rupees five thousand only) per participant by Cheque/Demand Draft in favour of “Institute for Financial Management and Research” payable at Chennai. This is a nonresidential program. ENROLMENT Interested candidates can visit the website ifmr.ac.in to download the form or send an email to [email protected] for registration. Limited number of seats. Registration will be on first-cum-first served basis. ACCOMMODATION Limited twin sharing hostel accommodation on payment basis is available for outstation candidates at IIT Madras campus. Outstation candidates seeking accommodation are requested to send an email to [email protected]. LAST DATE for Registration April 15, 2015 Program Outline: This will be a one-week program. The program covers – Day - 1 Probability - Sample Space, Events, Probability, Random Variable, Distribution Function Markets - The various financial markets for stocks, bonds and currencies; Primary versus derivative assets; Basics of trading - The efficient markets hypothesis (EMH), the riskreturn trade-off; Portfolio selection and diversification Day - 2 Stochastic Process Markov Chains, Stationary Distribution, Random Walks, Filtration, Conditional Expectation and Martingales Machine Learning Techniques - Linear and Logistic Regression, K-means Clustering, PCA Corporate Finance - Raising and deploying funds, the two sides of the Balance Sheet; Information asymmetry and its impact. Options - Option pricing, Option strategies with their corresponding pay-off diagrams and an Intro to Dynamic Hedging of Options Simulation Techniques - Simulating sample paths of common stochastic processes used in finance, Variance reduction techniques Asset Pricing - Normative versus positive models, Mean variance analysis, The CAPM and the APT Empirical Finance/Data - The overall idea is to give the participants some experience in working with financial models in real life. For instance, we could demonstrate how to implement mean variance optimization in practice, with a special focus on what the hidden pitfalls are. Group Assignment exercise on Day 4. Day – 4 Black Scholes Equation - Binomial Model, Derivation and Analytical Solution of Black Scholes equation - Numerical Solution of Black Scholes Equation - Explicit and Implicit Finite Difference Techniques Group assignment - Normative versus positive models, Mean variance analysis, The CAPM and the APT Day – 5 Day – 3 - Stochastic Calculus - Brownian motion, Stochastic Integration, Ito’s lemma - Presentations Simulating sample paths of common stochastic processes used in finance, Variance reduction techniques Conclusion INSTITUTE FOR FINANCIAL MANAGEMENT AND RESEARCH No.24, Kothari Road, Nungambakkam, Chennai 600 034 5655, Central Expressway, Sector 24, Sri City, Andhra Pradesh 517 541 Website: www.ifmr.ac.in Summe er Scho ool on Financ F cial Engine eering g and Anallytics May 14 – 18, 20 015 Registr R ration Form Name ................................................................................. ..................................................................... ation............................................................................................................................................... Designa Educatiional Qualific cations........................................................ .................................................................... Organizzation.............................................................................................................................................. Departm ment.............................................................................................................................................. Addresss .................................................................................................................................................. ......................................................................................... .................................................................... Contactt No.................................................................... Emaiil-id............................................................... Rupees Five Thousand T Onlly) Fees: Rs.5,000/= (R Payment to be b made in ad dvance by cheque/DD in favour f of ‘Insttitute for Financial Managgement and R Research’ payable at Chennai. Paymen nt Details N ………… dated …………………… … Bank Name …………………… ……………………… …………………… …… Cheque/DD No………………… The la ast date forr registratiion: April 15, 1 2015 er, or send th he registratio on form duly filled-in f by m mail or email tto Please ccall to registe KE Munuswamy M y Prog gram Managerr Institutte for Financial Manageme ent and Resea arch 24, Kothari Road, Nun ngambakkam , Chennai 6000 034 Ph: 044 282792 208 | Cell: 98 840758470 | e-mail: kem@ @ifmr.ac.in
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